References

• 1996Impulse response analysis in nonlinear multivariate models5,071 cited
• 1996The Purchasing Power Parity Puzzle2,939 cited
• 2001Nonlinear Mean‐Reversion in Real Exchange Rates: Toward a Solution To the Purchasing Power Parity Puzzles1,004 cited
• 2002Testing for two-regime threshold cointegration in vector error-correction models847 cited
• 1997Transactions Costs and Nonlinear Adjustment in Real Exchange Rates; An Empirical Investigation750 cited
• 1992Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World642 cited
• 1997Nonlinear Aspects of Goods-Market Arbitrage and Adjustment: Heckscher's Commodity Points Revisited560 cited
• 2001Currency traders and exchange rate dynamics: a survey of the US market539 cited
• 2001THRESHOLD COINTEGRATION AND NONLINEAR ADJUSTMENT TO THE LAW OF ONE PRICE431 cited
• 1995The Exchange Rate in the Presence of Transaction Costs: Implications for Tests of Purchasing Power Parity403 cited
• 1990Charts, Noise and Fundamentals in the London Foreign Exchange Market394 cited
• 2003Nonlinear dynamics in deviations from the law of one price: a broad-based empirical study243 cited
• 1995Testing for Cointegration When Some of the Cointegrating Vectors are Prespecified183 cited
• 2005Bootstrap testing for the null of no cointegration in a threshold vector error correction model